Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays
利用日内数据研究部分假日期间证券交易，发现加拿大或美国部分假日时买卖价差显著扩大，美国假日期间多伦多交易所知情交易、交易规模和成交量下降，而加拿大假日对纽约交易所影响不显著。
Abstract: This study uses intraday data to analyze security trading during partial holidays. The objectives include understanding the trading environment during such holidays and learning whether cross‐listing Canadian securities on the New York Stock Exchange (NYSE) affects liquidity, the information environment, and trading volume on the domestic market. We find that the bid‐ask spread increases significantly during Canadian or United States (US) partial holidays. Informed trading, average transaction size, and trading volume on the Toronto Stock Exchange (TSX) drop during US partial holidays, while the changes on the NYSE during Canadian partial holidays are insignificant. This result suggests that during US partial holidays the ratio of institutional‐to‐retail trading on the TSX decreases.